Theory and construction of Quasi-Monte Carlo rules for option pricing and density estimation.
Alexander D. GilbertFrances Y. KuoIan H. SloanAbirami SrikumarPublished in: CoRR (2022)
Keyphrases
- density estimation
- option pricing
- mixture model
- probability density function
- density function
- decision analysis
- gaussian mixture model
- quasi monte carlo
- stock price
- outlier detection
- em algorithm
- lower bound
- data mining
- expectation maximization
- decision makers
- language model
- prior knowledge
- variance reduction
- real option
- information retrieval